by Nicolas Rabener | Nov 1, 2021 | Uncategorized
Short-Term Momentum in Stocks, Commodities, and Cryptos Retail vs institutional investors November 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Developed markets have evolved from momentum to mean-reversion markets Other markets like EM or cryptos...
by Nicolas Rabener | Oct 4, 2021 | Uncategorized
Factor Olympics Q3 2021 And the winner is… October 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2021 is shaping up as a year of undifferentiated factor performance Value is the only factor with positive performance in year-to-date 2021The...
by Nicolas Rabener | Aug 16, 2021 | Uncategorized
Chinese Stocks from a Factor Lens Seeking greener pastures for quant strategies August 2021. Reading Time: 10 Minutes. Author: Bill Yeskel, CFA SUMMARYForeign stock ownership is low in China and the market is dominated by retail investorsThis provides an opportunity...
by Nicolas Rabener | Jul 5, 2021 | Uncategorized
Factor Olympics Q2 2021 And the winner is… July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Q1 2021 factor rotation into Value and Size has reversedValue is the only factor with positive performance in 1H 2021Momentum has generated the...
by Nicolas Rabener | May 10, 2021 | Uncategorized
Improving the Odds of Value Investing Tactical versus Strategic Allocations to Value May 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The stock market volatility, skewness, and yield curve influence the performance of the value factor Investors...
